相关论文: Novel Market Temperature Definition Through Fluctu…

Following the thermodynamic formulation of multifractal measure that was shown to be capable of detecting large fluctuations at an early stage, here we propose a new index which permits us to distinguish events like financial crisis in real…

By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused…

We review the general aspects of the concept of temperature in equilibrium and non-equilibrium statistical mechanics. Although temperature is an old and well-established notion, it still presents controversial facets. After a short…

The past twenty years have seen a resurgence of interest in nonequilibrium thermodynamics, thanks to advances in the theory of stochastic processes and in their thermodynamic interpretation. Fluctuation theorems provide fundamental…

We present a model of financial markets originally proposed for a turbulent flow, as a dynamic basis of its intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential,…

We consider the thermodynamic approach to the description of economic systems and processes. The first and second laws of thermodynamics as applied to economic systems are derived and analyzed. It is shown that there is a deep analogy…

A thermodynamic approach to the description of economic systems and processes is developed. It is shown that there is a deep analogy between the parameters of thermodynamic and economic systems (markets); so each thermodynamic parameter can…

Financial crises are known as crashes that result in a sudden loss of value of financial assets in large part and they continue to occur from time to time surprisingly. In order to discover features of the financial network, the pairwise…

This paper develops a comprehensive theoretical framework that imports concepts from stochastic thermodynamics to model price impact and characterize the feasibility of round-trip arbitrage in financial markets. A trading cycle is treated…

Recently (arXiv:0910.2870), we have derived a fluctuation theorem for systems in thermodynamic equilibrium compatible with anomalous response functions, e.g. the existence of states with \textit{negative heat capacities} $C<0$. In this…

The minute fluctuations of of S&P 500 and NASDAQ 100 indices display Boltzmann statistics over a wide range of positive as well as negative returns, thus allowing us to define a {\em market temperature} for either sign. With increasing time…

While the warming trends of the Earth's mean temperature are evident at climatological scales, the local temperature at shorter timescales are highly fluctuating. In this letter we show that the probabilities of such fluctuations are…

The existence of fluctuations of temperature has been a somewhat controversial topic in thermodynamics but nowadays it is recognized that they must be taken into account in small, finite systems. Although for nonequilibrium steady states…

Fluctuation theorems, which have been developed over the past 15 years, have resulted in fundamental breakthroughs in our understanding of how irreversibility emerges from reversible dynamics, and have provided new statistical mechanical…

We consider dynamics of financial markets as dynamics of expectations and discuss such a dynamics from the point of view of phenomenological thermodynamics. We describe a financial Carnot cycle and the financial analogue of a heat machine.…

We investigate whether fractal markets hypothesis and its focus on liquidity and invest- ment horizons give reasonable predictions about dynamics of the financial markets during the turbulences such as the Global Financial Crisis of late…

Gibbs and Boltzmann definitions of temperature agree only in the macroscopic limit. The ambiguity in identifying the equilibrium temperature of a finite sized `small' system exchanging energy with a bath is usually understood as a…

Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient…

Motivated by empirical observations on the interplay of trends and reversion, a lattice gas model of financial markets is presented. The shares of an asset are modeled by gas molecules that are distributed across a hidden social network of…

We formulate thermodynamics of economic systems in terms of an arbitrary probability distribution for a conserved economic quantity. As in statistical physics, thermodynamic macroeconomic variables emerge as the mean value of microeconomic…